Lejay, Antoine Simulation of a stochastic process in a discontinuous layered medium. (English) Zbl 1243.60062 Electron. Commun. Probab. 16, 764-774 (2011). Summary: We provide a simulation algorithm for a diffusion process in a layered media. Our main tools are the properties of the Skew Brownian motion and a path decomposition technique for simulating occupation times. Cited in 6 Documents MSC: 60J60 Diffusion processes 65C05 Monte Carlo methods Keywords:skew Brownian motion; discontinuous media; occupation time; local time; last passage time; path decomposition; Brownian Bridge; first hitting time; geophysics; Monte Carlo simulation PDF BibTeX XML Cite \textit{A. Lejay}, Electron. Commun. Probab. 16, 764--774 (2011; Zbl 1243.60062) Full Text: DOI